Efficient Compilation of a Class of Variational Forms

We investigate the compilation of general multilinear variational forms over affines simplices and prove a representation theorem for the representation of the element tensor (element stiffness matrix) as the contraction of a constant reference tensor and a geometry tensor that accounts for geometry and variable coefficients. Based on this representation theorem, we design an algorithm for efficient pretabulation of the reference tensor. The new algorithm has been implemented in the FEniCS Form Compiler (FFC) and improves on a previous loop-based implementation by several orders of magnitude, thus shortening compile-times and development cycles for users of FFC.Comment: ACM Transactions on Mathematical Software 33(3), 20 pages (2007

Stock and Bond Relationships in Asia

This paper analyzes the relationship between stocks and bonds in nine Asian countries. Using a bivariate stochastic volatility model, we show that there are significant volatility spillover effects between stock and bond markets in several of the countries. Furthermore, dynamic correlation patterns show that the relationship between stock and bond markets changes considerably over time in all countries. Stock-bond correlation increases during periods of turmoil in several countries, indicating that there is a cross-asset contagion effect. Therefore, if there is a flight to quality effect in Asian markets, it seems to occur across countries or regions rather than across domestic assets. The results have direct and important implications for regional policy makers as well as domestic and international investors that invest in multiple asset classes.Asia; stock markets; bond markets; stochastic volatility; Markov Chain Monte Carlo; spillover effects; dynamic correlation

Asian Sovereign Debt and Country Risk

This paper analyzes systematic risk of sovereign bonds in four East Asian countries: China, Malaysia, Philippines, and Thailand. A bivariate stochastic volatility model that allows for time-varying correlation is estimated with Markov Chain Monte Carlo simulation. The volatilities and correlation are then used to calculate the time-varying betas. The results show that country-specific systematic risk in Asian sovereign bonds varies over time. When adjusting for inherent exchange rate risk, the pattern of systematic risk is similar, even though the level is generally lower. The findings have important implications for international portfolio managers that invest in emerging sovereign bonds and those who need benchmark instruments to analyze risk in assets such as corporate bonds in the emerging Asian financial markets.Asia; sovereign bonds; systematic risk; stochastic volatility; Markov Chain Monte Carlo

CHINA'S FINANCIAL MARKET INTEGRATION WITH THE WORLD

It is commonly argued that China's financial markets are effectively insulated from the rest of the world. To see if this is true and to better understand China's financial development, we analyze China's integration with major financial markets. Using conditional copulas, we show that China has experienced an increasing level of integration with several major financial markets during the last decade, even though the country's financial markets are commonly seen as being insulated. Furthermore, the level of integration has increased with several major markets during the current financial crisis. The results and possible reasons for the increasing integration are analyzed and the implications for policymakers and market participants are discussed.China; financial market integration; codependence; copula

Effective operator formalism for open quantum systems

We present an effective operator formalism for open quantum systems. Employing perturbation theory and adiabatic elimination of excited states for a weakly driven system, we derive an effective master equation which reduces the evolution to the ground-state dynamics. The effective evolution involves a single effective Hamiltonian and one effective Lindblad operator for each naturally occurring decay process. Simple expressions are derived for the effective operators which can be directly applied to reach effective equations of motion for the ground states. We compare our method with the hitherto existing concepts for effective interactions and present physical examples for the application of our formalism, including dissipative state preparation by engineered decay processes.Comment: 11 pages, 6 figure

CHINA'S OFFICIAL RATES AND BOND YIELDS

Recent research shows that bond yields are influenced by monetary policy decisions. To learn how this works in an interest rate market that differs significantly from that of the U.S. and Europe, we model Chinese bond yields using the one-year deposit rate as a state variable. We also add the difference between the one-year interest rate and the one-year deposit rate as a factor. The model is developed in an affine framework and closed-form solutions are obtained. It is tested empirically and the results show that the new model characterizes the changing shape of the yield curve well. Incorporating the benchmark rate into the model thus helps us to match Chinese bond yields.China; deposit rate; bond yields; jump process; affine model

On stable reconstructions from nonuniform Fourier measurements

We consider the problem of recovering a compactly-supported function from a finite collection of pointwise samples of its Fourier transform taking nonuniformly. First, we show that under suitable conditions on the sampling frequencies - specifically, their density and bandwidth - it is possible to recover any such function $f$ in a stable and accurate manner in any given finite-dimensional subspace; in particular, one which is well suited for approximating $f$. In practice, this is carried out using so-called nonuniform generalized sampling (NUGS). Second, we consider approximation spaces in one dimension consisting of compactly supported wavelets. We prove that a linear scaling of the dimension of the space with the sampling bandwidth is both necessary and sufficient for stable and accurate recovery. Thus wavelets are up to constant factors optimal spaces for reconstruction